信用价差的度量模型及应用.pdfVIP

第27 卷第2 期 湖南文理学院学报( 自然科学版) Vol . 27 No. 2 2015 年6 月 Journal of Hunan University of Arts and Science(Science and Technology) Jun. 2015 doi: 10.3969/j.issn.1672–6146.2015.02.012 信用价差的度量模型及应用 邓华, 谭理 (湖南人文科技学院 数学与计量经济系, 湖南 娄底, 417000) 摘要: 从衡量信用风险的主要工具信用价差的度量作为切入点, 分别利用期权定价和 KMV 理论建立了信用 价差度量的2 种模型, 并基于诸暨债数据, 实证评估了其信用价差。研究结果表明, 短期内KMV 模型度量信 用价差更合适, 长期这 2 种方法都趋近于真实数据, 模型可为理性的投资决策提供信息, 对刻画公司信用风 险发挥积极作用。 关键词: 信用价差; KMV 模型; 期权定价理论 中图分类号: F 224 文章编号: 1672–6146(2015)02–0035–04 The measurement model of credit spreads and its application Deng Hua, Tan Li (Department of Mathematics and Econometrics, Hunan Institute of Humanities, Science and Technology, Loudi 417000, China) Abstract: Taking the evaluation of credit spreads as a breakthrough point which is the main content for assessment of credit risk, two measure models are built by Option Pricing Theory and KMV theory respectively, credit spreads of Zhuji debt are studied based on its actual data. The results show that the KMV model to measure the credit spread is more appropriate in short-term. But in the long term these two methods are both close to the real data. These models provide the essential information to make the right investment decisions and played positive effects for the evaluation of credit risk. Key words: credit spread; KMV Model; option pricing theory 信用风险主要以信用利差作为衡量基准, 公司债券等信用债的大规模发行, 将有助于我国资本市 场的多元化和层次化, 同时市场更加关注信用类品种的信用风险问题。本文将从信用价差的度量为切入 点, 选取近些年债券相关数据为样本, 研究合理、有效的度量模型, 采用实证及